BNP Paribas VAR breaches trigger capital hike

BNP Paribas’ US unit suffered worse trading losses than expected on four days in the second quarter, forcing it to increase required market risk capital.

The peak loss was 237% larger than the bank’s value-at-risk model estimated, the second largest 193% and the third largest 142%. By incurring five so-called VAR breaches in the last year, the multiplication factor applied to one part of BNP Paribas' market risk capital requirement jumped from the default level of three to 3.4.

Barclays

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: